Decomposability for stable processes

Yizao Wang, Stilian A. Stoev and Parthanil Roy

Stochastic Processes and their Applications, 2012, vol. 122, issue 3, 1093-1109

Abstract: We characterize all possible independent symmetric α-stable (SαS) components of an SαS process, 0<α<2. In particular, we focus on stationary SαS processes and their independent stationary SαS components. We also develop a parallel characterization theory for max-stable processes.

Keywords: Sum-stable process; Decomposition; Minimal representation; Mixed moving average; Max-stable process (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:122:y:2012:i:3:p:1093-1109

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DOI: 10.1016/j.spa.2011.11.007

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